Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 5 | 5 | 5 |
| Score | -1.17 | -1.41 | -1.39 |
| Market Cap (Millions USD) | 379.99 | 496.17 | 419.85 |
| Predicted Beta | 0.08 | 0.09 | 0.09 |
| Idiosyncratic Volatility | 1.81 | 1.76 | 1.83 |
Annualized return and volatility
| IYZ | |
|---|---|
| Annualized Return | -0.0061 |
| Annualized Std Dev | 0.2266 |
| Annualized Sharpe (Rf=0%) | -0.0269 |
Row
Daily Return Statistics
| IYZ | |
|---|---|
| Observations | 5010.0000 |
| NAs | 104.0000 |
| Minimum | -0.1020 |
| Quartile 1 | -0.0064 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0071 |
| Maximum | 0.1411 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0002 |
| Stdev | 0.0143 |
| Skewness | 0.0248 |
| Kurtosis | 7.3883 |
Downside Risk
| IYZ | |
|---|---|
| Semi Deviation | 0.0102 |
| Gain Deviation | 0.0102 |
| Loss Deviation | 0.0108 |
| Downside Deviation (MAR=210%) | 0.0150 |
| Downside Deviation (Rf=0%) | 0.0102 |
| Downside Deviation (0%) | 0.0102 |
| Maximum Drawdown | 0.7712 |
| Historical VaR (95%) | -0.0225 |
| Historical ES (95%) | -0.0347 |
| Modified VaR (95%) | -0.0212 |
| Modified ES (95%) | -0.0310 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-06-20 | 2002-09-30 | NA | -0.7712 | 4996 | 581 | NA |
| 2000-06-15 | 2000-06-16 | 2000-06-19 | -0.0129 | 3 | 2 | 1 |
| 2000-06-12 | 2000-06-12 | 2000-06-13 | -0.0075 | 2 | 1 | 1 |
| 2000-06-07 | 2000-06-07 | 2000-06-08 | -0.0030 | 2 | 1 | 1 |
| 2000-05-31 | 2000-05-31 | 2000-06-01 | -0.0011 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IYZ | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | 2.9 | 0.0 | 0.9 | 1.0 | 0.0 | -3.9 | -0.1 | 0.0 | 0.8 |
| 2001 | 1.8 | -2.5 | 0.0 | 1.3 | -1.1 | 0.0 | 1.3 | 0.0 | -0.3 | 1.7 | 0.0 | 0.0 | 2.1 |
| 2002 | -1.3 | 1.7 | -0.2 | 2.6 | 0.0 | -2.0 | -2.4 | 0.0 | 5.1 | 4.2 | 0.0 | 0.0 | 7.5 |
| 2003 | 0.0 | 0.0 | 2.6 | 0.4 | 0.0 | 1.1 | -0.9 | 0.0 | 1.2 | 0.0 | -0.4 | 0.0 | 4.0 |
| 2004 | 0.0 | 1.1 | 0.9 | 0.0 | 0.0 | -1.2 | 0.0 | 1.0 | 1.6 | 0.6 | 1.5 | 0.0 | 5.5 |
| 2005 | 0.5 | 1.0 | -0.3 | 0.0 | 0.0 | 0.4 | 0.0 | 0.0 | 0.0 | 0.0 | 1.1 | 0.0 | 2.7 |
| 2006 | 0.8 | 1.3 | 0.0 | 0.1 | 2.3 | 0.0 | -0.5 | 0.7 | 0.0 | -0.8 | -0.2 | 0.0 | 3.8 |
| 2007 | -0.2 | -0.5 | 0.0 | -0.2 | -0.3 | 0.0 | 0.3 | 0.0 | 1.1 | -3.2 | 0.0 | 0.0 | -3.0 |
| 2008 | 1.1 | 0.0 | 3.5 | 3.8 | 0.0 | -1.0 | -1.2 | 0.0 | -0.5 | 0.0 | -8.2 | 0.0 | -2.9 |
| 2009 | 0.0 | 0.0 | 3.7 | 2.1 | 1.3 | 0.3 | 0.0 | -2.4 | -2.9 | 0.0 | 1.8 | 0.0 | 3.9 |
| 2010 | 1.1 | 1.4 | 1.3 | 0.0 | -2.3 | 0.2 | 0.0 | 2.4 | 0.6 | -0.1 | 1.9 | 0.0 | 6.6 |
| 2011 | 1.4 | -2.1 | 0.4 | 0.0 | -1.4 | 1.6 | 0.4 | -1.0 | 0.0 | -2.2 | -0.7 | 0.0 | -3.5 |
| 2012 | 1.3 | 0.1 | 0.0 | 0.2 | -2.2 | 0.0 | -0.1 | 0.0 | -0.5 | 0.3 | 0.0 | 0.0 | -0.9 |
| 2013 | 0.7 | -0.2 | -0.1 | -1.3 | 0.0 | -0.2 | 0.5 | 0.0 | 0.9 | -0.9 | 0.0 | 0.0 | -0.5 |
| 2014 | 0.0 | 0.0 | 1.6 | 0.9 | 0.0 | 0.4 | -0.5 | 0.0 | -1.8 | 0.0 | -1.4 | 0.0 | -0.8 |
| 2015 | 0.0 | 0.0 | 2.4 | 0.2 | -1.2 | 0.3 | 0.0 | -2.4 | -1.3 | 0.0 | 0.7 | 0.0 | -1.3 |
| 2016 | 0.4 | 1.0 | 1.4 | 0.0 | -1.1 | 0.1 | -0.6 | -0.7 | 0.0 | -2.2 | -0.3 | 0.0 | -2.0 |
| 2017 | -2.8 | 1.1 | 0.0 | -0.4 | 1.5 | 0.0 | 1.2 | 1.4 | 0.0 | -1.6 | 0.1 | 0.0 | 0.2 |
| 2018 | -0.1 | 0.4 | 0.0 | -0.9 | 1.1 | 0.0 | -0.2 | 0.0 | -0.4 | 0.7 | 0.0 | 0.0 | 0.7 |
| 2019 | 0.1 | 0.0 | 1.3 | -1.0 | 0.0 | 0.2 | -0.7 | 0.0 | -1.8 | -0.8 | 0.0 | -0.3 | -3.0 |
Row
Rolling Performance Chart
Snail Trail Chart
